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First and foremost, the thing that defines a mechanical keyboard is the key switch it uses. Most budget keyboards today use dome-switch technology, which registers a keypress when you type and push down a silicone dome and connect two circuit board traces. Though this style is easy and inexpensive to manufacture, it requires a relatively large amount of force, which can result in a heavy and mushy feel to the user and a lack of either tactile or auditory feedback when you type. Plus, after a fairly short time (five million keystrokes, give or take), the domes can collapse and either work less well or stop working altogether, so you'll probably have to replace the keyboard at least once or twice over the life of the computer you use it with.
Mechanical switches, by contrast, avoid the silicone altogether. Pressing down on the key activates a real, physical switch that registers what you type. Because the parts used are much more substantial than those in dome-switch keyboards, mechanical keyboards typically have a much longer life span (many boast ratings of 50 million keystrokes or more per switch, and may well outlast the first computer—or two—you use them with), and create a more direct relationship between the person who's typing and what appears on the screen. Because of the hardware involved, mechanical keyboards tend to be thicker, heavier, and more expensive than their dome-switch counterparts, making them more of an investment, if one that's likely to pay off if the quality of typing really matters to you.
When shopping for a keyboard, pay attention to the kind of switch it uses, whether it offers auditory feedback (in other words, it makes a click you can hear) or tactile feedback (a "bump" you can feel), and the amount of pressure the switches require to activate (the actuation force), will greatly affect its functionality.